In the Q episode of DS9, the writers didn't have the wormhole alien thing figured out for Sisko. It works out retroactively but, at the time, I think the point of the scene was to establish that Sisko does not fuck around.
Picard's mission was exploration and diplomacy. He was on the Federation flagship doing the thing that the Federation prides itself on doing. Everything Picard did was considered and thought-out. Sisko, on the other hand, used his intuition a lot more. He had the far more difficult assignment of keeping a shitty space station together, preventing the Bajorans from killing themselves, keeping the Cardassians at bay, and dealing with high-profile criminals passing through Bajoran space on a daily basis. Picard had the time, patience, and interest to playing around with Q while Sisko lacked all three.
I think that's sort of the big reason Q never returned to DS9: his purpose was always to "teach those little humans a lesson," but Sisko's situation never really called for it. The writers wanted Sisko to distinguish himself from Picard by punching Q and telling his crew to ignore the bastard, so why would they do anything else in future encounters with Q? The writers put themselves in a corner, but honestly it was a good corner. They sort of tried this again with "Move Along Home" (Allamaraine!) and it didn't work.